Numerical solutions to a class of stochastic partial differential equations arising in finance
<p>We propose two alternative approaches to evaluate numerically credit basket derivatives in a <em>N</em>-name structural model where the number of entities, <em>N</em>, is large, and where the names are independent and identically distributed random variables conditio...
| Main Authors: | , |
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| Format: | Thesis |
| Language: | English |
| Published: |
2013
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| Subjects: |